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Bayesian analysis of panel data using an MTAR model

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Listed:
  • Yoon Young Jung
  • Dong Wan Shin
  • Man-Suk Oh

Abstract

Bayesian analysis of panel data using a class of momentum threshold autoregressive (MTAR) models is considered. Posterior estimation of parameters of the MTAR models is done by using a simple Markov Chain Monte Carlo (MCMC) algorithm. Selection of appropriate differenced variables, test for asymmetry and unit roots are recast as model selections and a simple way of computing posterior probabilities of the candidate models is proposed. The proposed method is applied to the yearly unemployment rates of 51 US states and the results show strong evidence of stationarity and asymmetry.

Suggested Citation

  • Yoon Young Jung & Dong Wan Shin & Man-Suk Oh, 2005. "Bayesian analysis of panel data using an MTAR model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(8), pages 841-854.
  • Handle: RePEc:taf:japsta:v:32:y:2005:i:8:p:841-854 DOI: 10.1080/02664760500080132
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    References listed on IDEAS

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    1. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
    2. Mehmet Caner & Bruce E. Hansen, 1998. "Threshold Autoregressions with a Near Unit Root," Working Papers 9821, Department of Economics, Bilkent University.
    3. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, pages 345-368.
    4. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
    5. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
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    More about this item

    Keywords

    MTAR; panel data; MCMC; model selection;

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